Approximately $3.1 Million of Structured Securities Affected
New York, September 28, 2017 -- Moody's Investors Service, ("Moody's") has affirmed the rating on
one class and upgraded the rating on one class in DLJ Commercial Mortgage
Corp., Commercial Mortgage Pass-Through Certificates,
Series 1999-CG3 as follows:
Cl. B-4, Upgraded to Aa1 (sf); previously on
Oct 4, 2016 Upgraded to Aa2 (sf)
Cl. S, Affirmed C (sf); previously on Jun 9, 2017
Downgraded to C (sf)
RATINGS RATIONALE
The rating on Class B-4 was upgraded based primarily on an increase
in credit support resulting from loans amortization. The deal has
paid down 6.5% since Moody's last review.
The rating on the IO class, Class S, was affirmed based on
the credit quality of the referenced classes.
Moody's rating action reflects a base expected loss of 0% of the
current balance, the same as at Moody's last review.
Moody's base expected loss plus realized losses is now 5.2%
of the original pooled balance, the same as at the last review.
Moody's provides a current list of base expected losses for conduit
and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
Moody's does not anticipate losses from the remaining collateral
in the current environment. However, over the remaining life
of the transaction, losses may emerge from macro stresses to the
environment and changes in collateral performance. Our ratings
reflect the potential for future losses under varying levels of stress.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's forward-looking
view of the likely range of performance over the medium term. Performance
that falls outside the given range can indicate that the collateral's
credit quality is stronger or weaker than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a significant
amount of loan paydowns or amortization, an increase in the pool's
share of defeasance or an improvement in pool performance.
Factors that could lead to a downgrade of the ratings include a decline
in the performance of the pool, loan concentration, an increase
in realized and expected losses from specially serviced and troubled loans
or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in these ratings was "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower CMBS"
published in July 2017. Please see the Rating Methodologies page
on www.moodys.com for a copy of this methodology.
Additionally, the methodology used in rating Cl. S was "Moody's
Approach to Rating Structured Finance Interest-Only (IO) Securities"
published in June 2017. Please see the Rating Methodologies page
on www.moodys.com for a copy of this methodology.
DEAL PERFORMANCE
As of the September 11, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 99% to $10.3
million from $899 million at securitization. The certificates
are collateralized by four remaining mortgage loans. One loan,
constituting 27% of the pool, has defeased and is secured
by US government securities.
Two properties, representing 19.7% of the pool,
located in Florida that were potentially affected by Hurricane Irma.
While the full extent of any damage is not yet known, we will continue
to monitor potentially affected loans as more information becomes available.
Moody's uses a variation of Herf to measure the diversity of loan sizes,
where a higher number represents greater diversity. Loan concentration
has an important bearing on potential rating volatility, including
the risk of multiple notch downgrades under adverse circumstances.
The credit neutral Herf score is 40. The pool has a Herf of 2,
the same as at Moody's last review.
Thirty-seven loans have been liquidated from the pool, resulting
in an aggregate realized loss of $46.7 million (for an average
loss severity of 30%). There are currently no loans in special
servicing or on the servicer's watchlist.
The three non-defeased loans represent 73% of the pool balance.
The largest loan is The Regency Apartments Loan ($5.6 million
-- 52.8% of the pool), which is secured by a
186-unit multifamily property located in Fayetteville, North
Carolina, just south of the Fort Bragg military base. As
of June 2017, the property was 86% occupied compared to 84%
as of March 2016. Performance has been stable and the loan matures
in September 2018. Moody's LTV and stressed DSCR are 64%
and 1.52X, respectively, compared to 71% and
1.36X at the last review. Moody's stressed DSCR is based
on Moody's NCF and a 9.25% stress rate the agency applied
to the loan balance.
The second largest loan is the Whitfield Village Apartments Loan ($1.3
million -- 12.1% of the pool), which is secured
by a 48-unit, seven building apartment complex located in
Sarasota, Florida. The loan previously had been transferred
to special servicing in March 2012 due to monetary default and was modified
in January 2015, resulting in the loan's modification with a decrease
in the interest rate and an extension of the maturity date to December
2024. The property was 98% occupied as of June 2017 the
same as of April 2016. Moody's LTV and stressed DSCR are 77%
and 1.25X, respectively, compared to 78% and
1.24X at the last review.
The third largest loan is the Manor Court Apartments Loan ($0.8
million -- 7.7% of the pool), which is secured
by a 74-unit apartment complex located in North Miami, Florida.
As of June 2017, the property was 97% occupied, the
same as of June 2016. The loan is fully amortizing and has paid
down 54% since securitization. Moody's LTV and stressed
DSCR are 20% and >4.00X, respectively, compared
to 21% and >4.0X at the last review.
REGULATORY DISCLOSURES
For further specification of Moody's key rating assumptions and sensitivity
analysis, see the sections Methodology Assumptions and Sensitivity
to Assumptions of the disclosure form.
The analysis includes an assessment of collateral characteristics and
performance to determine the expected collateral loss or a range of expected
collateral losses or cash flows to the rated instruments. As a
second step, Moody's estimates expected collateral losses or cash
flows using a quantitative tool that takes into account credit enhancement,
loss allocation and other structural features, to derive the expected
loss for each rated instrument.
Moody's did not use any stress scenario simulations in its analysis.
For ratings issued on a program, series or category/class of debt,
this announcement provides certain regulatory disclosures in relation
to each rating of a subsequently issued bond or note of the same series
or category/class of debt or pursuant to a program for which the ratings
are derived exclusively from existing ratings in accordance with Moody's
rating practices. For ratings issued on a support provider,
this announcement provides certain regulatory disclosures in relation
to the credit rating action on the support provider and in relation to
each particular credit rating action for securities that derive their
credit ratings from the support provider's credit rating.
For provisional ratings, this announcement provides certain regulatory
disclosures in relation to the provisional rating assigned, and
in relation to a definitive rating that may be assigned subsequent to
the final issuance of the debt, in each case where the transaction
structure and terms have not changed prior to the assignment of the definitive
rating in a manner that would have affected the rating. For further
information please see the ratings tab on the issuer/entity page for the
respective issuer on www.moodys.com.
For any affected securities or rated entities receiving direct credit
support from the primary entity(ies) of this credit rating action,
and whose ratings may change as a result of this credit rating action,
the associated regulatory disclosures will be those of the guarantor entity.
Exceptions to this approach exist for the following disclosures,
if applicable to jurisdiction: Ancillary Services, Disclosure
to rated entity, Disclosure from rated entity.
Regulatory disclosures contained in this press release apply to the credit
rating and, if applicable, the related rating outlook or rating
review.
Please see www.moodys.com for any updates on changes to
the lead rating analyst and to the Moody's legal entity that has issued
the rating.
Please see the ratings tab on the issuer/entity page on www.moodys.com
for additional regulatory disclosures for each credit rating.
Dariusz Surmacz
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653
Keith Banhazl
MD - Structured Finance
Structured Finance Group
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653
Releasing Office:
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653
